% Updated on January 31, 2000 by Samit Dasgupta, dasgupta@post.harvard.edu
% Updated comments indicated with a percent sign %
% Also see additional README files for updated data set

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                INTERNATIONAL DATA ON EQUITY MARKET AND
                        MACROECONOMIC VARIABLES

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There are TWO types of quarterly data files in this diskette:

        (1) ###QE.asc : this type of file contains quarterly data on Equity Markets for country ###. This data is derived from Morgan Stanley Capital International Indices. All variables are evaluated in local currency. An implicit exchange rate (local currency/$) is provided. Please see below for country codes and a detailed description of the content the files.

        (2) ###QM.asc : this type of file contains quarterly data on several macroeconomic variables for country ###. This data is extracted from the IMF's "International Financial Statistics" CD-ROM (March 1997 version). All variables are evaluated in local currency. Please see below for country codes and a detailed description of the content of the files. Data for West Germany was available only through 1994.3. To extend the series, data for united Germany was used. Short and long interest rate series for united Germany were appended to the West German series. Price indeces, consumption and real GDP were extended using the growth rates of the united Germany data. The population series was extended using the growth rate of West German population.

        (3) ###QPOP.asc: this type of file contains quarterly total population series for country ###. This series is constructed from annual population series in IFS CD-ROM and the July 1997 paper version of the IFS by assuming that population grows at constant rate within the year. See the Data Appendix in paper for further details.

 -----------------
  ###QE.asc files
 -----------------

Frequency:      Quarterly data.
Sample period:  1969.4 - 1997.1
Currency:       All series evaluated in local currency units
Source:         Morgan Stanley Capital Perspective, except for the US.
                US source: CRSP tape.  US sample period: 1925.4 - 1996.4

% For the US, returns on a NYSE/AMEX value-weighted portfolio were used.

Col. 1 = t    : Calendar variable in format yyyy.q

Col. 2 = P(t) : Price Index in local currency (IL series in Morgan Stanley
                International Perspective). End of quarter price.

Col. 3 = D(t) : Dividend series D(t). D(t)=P(t)*DY(t), where
                P(t) is the Price Index and DY(t) is the dividend yield.
% DY(t) = [RI(t)/RI(t-1)]/[P(t)/P(t-1)], where RI is the Return Index from MSCI, 
% and time t in the equation is in months.
% For the US, DY(t) = [1 + VWRETD(t)]/[1 + VWRETX(t)] - 1, where VWRETD is the 
% return with dividends and VWRETX is the return without dividends.
% Dividends are multiplied by 1.33... for UK, 1.50 for France, and 1.5625 for 
% Germany because of tax credits available to domestic investors.

Col. 4 = R(t) : Total net return in local currency units,
                R(t)=[P(t)+D(t)/P(t-1)]-1
% t in this equation is in quarters.

Col. 5 = DP(t): Dividend-price ratio, computed as:
                DP(t)=[D(t)+D(t-1)+D(t-2)+D(t-3)]/P(t);
% t in this equation is in quarters.

Col. 6 = er(L/$;t): Implicit exchange rate (local currency/$) derived as the ratio P(t)/Pd(t), where Pd(t) is the MSCI Price Index in dollar terms. Thus, it is end of month er.

Tax credit on dividends, applicable to the UK, France and Germany, is available only to local investors. Since the MSCI calculates returns from the perspective of US investors, it excludes from its indices the tax credits which are available only to local investors. Since what we are interested here is the gross return to local investors, we add back in the tax credits. The tax credits for 1992 were used: 25% for UK, 33.33% for France, and 36% for Germany.
 -----------------
  ###QM.asc files
 -----------------

Frequency:      Quarterly data.
Sample period:  1960.1 - 1996.4
Currency:       All series evaluated in local currency units
Source:         IMF's "International Financial Statistics" CD-ROM,
                except for the US. US: national sources (CRSP for interest
                rates and cpi, NIPA for consumption data */
Missing values: -99

Availability of data: quarterly data on National Accounts is not available for
Denmark, Belgium, Sweden. For most countries the Interest Rate and National
Accounts data series do not go back to 1960.  

Col. 1 = t    : Calendar variable in format yyyy.q
Col. 2 = ir   : Interest rates: quarterly series constructed by selecting from monthly series the data corresponding to the last month of the quarter. The following interest rates were selected (in parentheses first year.quarter available):

* Australia --> TB Rate: Weighted average yield on 13-week treasury notes allotted at last tender of month. (69.3)

* Canada --> TB Rate: Tender Rates of the last Thursday of the month on 3-month bills.(60.1)

* France -->  Interbank Money Rate: monthly average of rates for day-to-day loans against private bills.  A missing value occurs in the IFS CD-ROM for 1986.1. This value is then obtained from the IFS database on Datastream.
% This data is not currently available on IFS, so it may never have been.  Data 
% may have been taken from Datastream, code FRVDTMM, title France Interbank Call 
% (TMM) - Middle Rate.

* Germany --> Interbank Dep. Rate: Average of the daily quotations reported by banks for three-month interbank deposit rates.(60.1)

* Italy --> MM Rate: Three-month interbank rate.(71.1)

* Japan --> MM Rate: From Nov. 1990, lending rate for collateral and overnight loans in the Tokyo Call Money Market. Previously, lending rate for collateral and unconditional loans.(60.1)

* Netherlands --> MM Rate: Average market rate paid on bankers' call loans.(60.1)

* Sweden --> TB Rate: Rate on three-month treasury discount notes.(60.1)

* Switzerland --> MM Rate: Overnight Swiss franc deposit rates in international markets.(75.3)

* UK --> TB Rate: Rate at which 91-day bills are allotted. Weighted average of Friday data.(64.1)

* USA --> TB Rate:T-bill rate in quarterly SBBI file in CRSP (60.1)
% I could not find the original data in CRSP

Col. 3 = cpi  : Consumer Price Index (IFS line 64) as of end of quarter (quarterly series extracted from monthly series by selecting the CPI on the last month of the quarter).

Col. 4 = rgdp : GDP at 1990 constant prices (IFS line 99b.r) (For Italy, gdp and rgdp are obtained from the 8/97 version of the IFS CD-ROM)
% In the current IFS CD-ROM, data for countries other than Sweden were
% seasonally adjusted.  Sweden's data was not seasonally adjusted.  The same was
% most likely true when the original data was taken. 
% I could not find any documentation for the source of the US rgdp.

Col. 5 = def  : Deflator, computed as def(t)=100*gdp(t)/rgdp(t), where gdp(t) is GDP valued at current prices and rdgp is GDP at 1990 constant prices.
% The same comment as given above for rgdp applies here.
% The deflator for the US is a consumption deflator, but I could not find any
% documentation for the source.

Col. 6 = cons : Private consumption at current prices.
% Sweden's consumption data was not taken from the IFS.  The source is the
% Swedish National Central Bureau of Statistics.  It is seasonally adjusted (SA)
% consumption data at 1985 prices, so there is no need to use the deflator. 
% From 1994.3 onwards, the SA real consumption series is obtained from
% Datastream.  This is spliced with the original series using its growth rate.
% For the US, cons is consumption of nondurables and services.  The source
% indicated in the original documentation is CITIBASE, but the CITIBASE data
% agrees with the original data only until 1958.4.  After this point, the source
% of the consumption data is unclear.

Col. 7 = ly : Long yields: quarterly series constructed by selecting from monthly series the data corresponding to the last month of the quarter.  Except for the Sweden series (which ends in 95.1), all other series end in 96.4.  The following long yields were selected (in parentheses first year.quarter available):

* Australia --> Yield on Commonwealth government securities 10 year bonds (end of period), Source: Datastream/RBA (69.3)

* Canada --> Yield on government bonds with life over 10 years (end of period), Source: Bank of Canada (68.1)

* France --> Yield on government bonds on secondary market (over 7 years) (period avg), Source: Statistics OECD, Paris (73.1)
% As with the French interest rates, this data is not currently available on IFS, so it may never have been.  Data may have been taken from Datastream, code FRLNGYLD, title Fr Long-Term Government Bond Yield (Weekly Basis) - 7 years.

* Germany --> Yield on  secondary market, public bonds (7 to 15 years) (end of period), Source: Statistics OECD, Paris (76.1)
% This data is not currently available on IFS, so it may never have been.  Data
% may have been taken from Datastream, code BDLONGYD, title BD Yld. on 2nd
% market public bonds - 7 to 15 years (EP)(Disc. BDOCLNG%).

* Italy --> 9-10 year treasury bond yield, Source: IFS (60.1)

* Japan --> Yield on government benchmark bond (8 to 10 years) (end of period), Source: Tokyo Stock Exchange (70.1)
% While a long yield series appears in the IFS, it disagrees with the original
% data from 1977.1 onwards.  Hence the data here may also have been taken from
% Datastream, code JPLNGYLD, title JP Government Benchmark Bond Yield - 8 to 10
% year (EP). 

* Netherlands --> Yield on the most recent 10-year government bond, Source: IFS (64.4)

* Sweden --> Government bond yield (10 years and over) (mid month data), Source: IFS (60.1)

* Switzerland --> Yield on confederation bonds (5 years and over) (monthly average), Source: Statistics OECD, Paris (82.1)
% While a long yield series appears in the IFS, it disagrees with the original
% data before 1989.1.  Hence the data here may also have been taken from
% Datastream, code SWCFDNEW, title SW Confederation Bond Yield - 5 Years +
% (Disc.). 

* UK --> Gross redemption yield on 20 year gilts (period average), Source: Bank of England (63.1)
% The data in the current IFS CD-ROM does not agree with the original data until 
% 1987.1.  I could not find the original series on Datastream.  Thus I am not 
% sure what the source was for the original data; it may indeed have been the 
% IFS, and the IFS has since that time updated earlier data.

* USA --> Ten-year treasury yields are from McCulloch and Kwon (1993) (up to 1985.3) and thereafter yield on 10 year treasury bonds (monthly average), Source: Federal Reserve (47.1)
% The latter data is available either from the Federal Reserve Bulletin, or the 
% IFS CD-ROM (line 61).

% -----------------
%  ###QE.pop files
% -----------------
%
% Frequency:	  Quarterly data.
% Sample period:  1960.1 - 1997.2
% Units:       	  Millions
% Source:         IMF's "International Financial Statistics" CD-ROM,
%		  except for the US. US: CITIBASE (and IFS CD-ROM)
%
% For countries other than the US, the March IFS CD-ROM annual data are used as 
% year end values until 1993.4.  The quarterly values are interpolated by 
% assuming a constant growth rate for each year.  The mid-year 1996 population 
% estimate is obtained from the July 1997 paper version of the IFS.  The data is 
% interpolated between 1993.4 to 1996.2 and beyond to 1997.2 by assuming a 
% constant growth rate over that time period.  For the US, the quarterly date 
% until 1993.4 is obtained from CITIBASE.  The data is extended to 1997.2 using 
% the mid-year 1996 population estimate from the paper IFS as for the other 
% nations.

 -----------------
  Country codes
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aul     =       Australia
can     =       Canada
fr      =       France
ger     =       Germany
ita     =       Italy
jap     =       Japan
nth     =       The Netherlands
swd     =       Sweden
swt     =       Switzerland
uk      =       United Kingdom
usa     =       United States

